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Higher-order asymptotic properties of QML in ß-ARCH and æ-ARCH models

Iglesias, Emma M. - In: Economics letters 93 (2006) 2, pp. 261-266

Persistent link: https://www.econbiz.de/10003391936

Modelling the Volatility-Return Trade-Off When Volatility May Be Nonstationary

Dahl, Christian M.; Iglesias, Emma M. - 2009

In this paper a new GARCH–M type model, denoted the GARCH-AR, is proposed. In particular, it is shown that it is possible to generate a volatility-return trade-off in a regression model simply by introducing dynamics in the standardized disturbance process. Importantly, the volatility in the...

Persistent link: https://www.econbiz.de/10014199817

Reconsidering the gains on efficiency from ML estimation versus OLS in ARCH models

Iglesias, Emma M.; Phillips, Garry D. A. - In: Economics letters 74 (2001) 1, pp. 21-24

Persistent link: https://www.econbiz.de/10001635125

Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation

Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric reviews 30 (2011) 3, pp. 303-336

Persistent link: https://www.econbiz.de/10008990434

Capital-energy relationships : an analysis when disaggregating by industry and different types of capital

Tovar, Miguel A.; Iglesias, Emma M. - In: The energy journal 34 (2013) 4, pp. 129-150

Persistent link: https://www.econbiz.de/10010256373

Modeling the volatility-return trade-off when volatility may be nonstationary

Dahl, Christian M.; Iglesias, Emma M. - In: Journal of time series econometrics 3 (2011) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10009623574

Evolution over time of the determinants of preferences for redistribution and the support for the welfare state

Iglesias, Emma M.; Pena López, J. Atilano; … - In: Applied economics 45 (2013) 28/30, pp. 4260-4274

Persistent link: https://www.econbiz.de/10010346303

Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models

Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric reviews 31 (2012) 4/6, pp. 532-557

Persistent link: https://www.econbiz.de/10009539710

Testing for breaks using alternating observations

Bunzel, Helle (contributor); Iglesias, Emma M. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003410382

Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models

Iglesias, Emma M.; Linton, Oliver - In: Econometric theory 23 (2007) 6, pp. 1136-1161

Persistent link: https://www.econbiz.de/10003591844